From 902e27ede4b2fa7e5afe9120756101212a6c085c Mon Sep 17 00:00:00 2001
From: c9s <yoan@maicoin.com>
Date: Sun, 26 Dec 2021 15:44:41 +0800
Subject: [PATCH] xmaker: truncate quantity when hedging

---
 pkg/strategy/xmaker/strategy.go |  1 +
 pkg/types/market.go             | 20 ++++++++++++++------
 2 files changed, 15 insertions(+), 6 deletions(-)

diff --git a/pkg/strategy/xmaker/strategy.go b/pkg/strategy/xmaker/strategy.go
index 6dd4d35c9..47bb41f14 100644
--- a/pkg/strategy/xmaker/strategy.go
+++ b/pkg/strategy/xmaker/strategy.go
@@ -501,6 +501,7 @@ func (s *Strategy) Hedge(ctx context.Context, pos fixedpoint.Value) {
 	}
 
 	quantity := fixedpoint.Abs(pos)
+	quantity = s.sourceMarket.TruncateQuantity(quantity)
 
 	if pos < 0 {
 		side = types.SideTypeSell
diff --git a/pkg/types/market.go b/pkg/types/market.go
index 2d5076298..de2039f71 100644
--- a/pkg/types/market.go
+++ b/pkg/types/market.go
@@ -8,6 +8,8 @@ import (
 	"time"
 
 	"github.com/leekchan/accounting"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
 )
 
 type Duration time.Duration
@@ -49,7 +51,7 @@ func (d *Duration) UnmarshalJSON(data []byte) error {
 }
 
 type Market struct {
-	Symbol      string `json:"symbol"`
+	Symbol string `json:"symbol"`
 
 	// LocalSymbol is used for exchange's API (exchange package internal)
 	LocalSymbol string `json:"localSymbol,omitempty"`
@@ -57,7 +59,7 @@ type Market struct {
 	// PricePrecision is the precision used for formatting price, 8 = 8 decimals
 	// can be converted from price tick step size, e.g.
 	//    int(math.Log10(price step size))
-	PricePrecision  int `json:"pricePrecision"`
+	PricePrecision int `json:"pricePrecision"`
 
 	// VolumePrecision is the precision used for formatting quantity and volume, 8 = 8 decimals
 	// can be converted from step size, e.g.
@@ -65,10 +67,10 @@ type Market struct {
 	VolumePrecision int `json:"volumePrecision"`
 
 	// QuoteCurrency is the currency name for quote, e.g. USDT in BTC/USDT, USDC in BTC/USDC
-	QuoteCurrency   string `json:"quoteCurrency"`
+	QuoteCurrency string `json:"quoteCurrency"`
 
 	// BaseCurrency is the current name for base, e.g. BTC in BTC/USDT, ETH in ETH/USDC
-	BaseCurrency    string `json:"baseCurrency"`
+	BaseCurrency string `json:"baseCurrency"`
 
 	// The MIN_NOTIONAL filter defines the minimum notional value allowed for an order on a symbol.
 	// An order's notional value is the price * quantity
@@ -84,7 +86,7 @@ type Market struct {
 	// StepSize is the step size of quantity
 	// can be converted from precision, e.g.
 	//    1.0 / math.Pow10(m.BaseUnitPrecision)
-	StepSize    float64 `json:"stepSize,omitempty"`
+	StepSize float64 `json:"stepSize,omitempty"`
 
 	MinPrice float64 `json:"minPrice,omitempty"`
 	MaxPrice float64 `json:"maxPrice,omitempty"`
@@ -93,6 +95,12 @@ type Market struct {
 	TickSize float64 `json:"tickSize,omitempty"`
 }
 
+// TruncateQuantity uses the step size to truncate floating number, in order to avoid the rounding issue
+func (m Market) TruncateQuantity(quantity fixedpoint.Value) fixedpoint.Value {
+	stepRound := math.Pow10(-int(math.Log10(m.StepSize)))
+	return fixedpoint.NewFromFloat(math.Trunc(quantity.Float64()*stepRound) / stepRound)
+}
+
 func (m Market) BaseCurrencyFormatter() *accounting.Accounting {
 	a := accounting.DefaultAccounting(m.BaseCurrency, m.VolumePrecision)
 	a.Format = "%v %s"
@@ -172,4 +180,4 @@ type MarketMap map[string]Market
 
 func (m MarketMap) Add(market Market) {
 	m[market.Symbol] = market
-}
\ No newline at end of file
+}